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Testing for asymmetries in UK macroeconomic tome series

Speight, Alan E. H. - In: Scottish journal of political economy : the journal of … 45 (1998) 2, pp. 158-170

Persistent link: https://www.econbiz.de/10001240205

Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?

McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343

Persistent link: https://www.econbiz.de/10009576375

Non-linear time series models in economics : a selective survey

Speight, Alan E. H. - In: Future of economic science, (pp. 615-632). 2009

Persistent link: https://www.econbiz.de/10009613553

The nonlinear time series properties of unemployment rates : some further evidence

Peel, David - In: Applied economics 30 (1998) 2, pp. 287-294

Persistent link: https://www.econbiz.de/10001241289

Threshold nonlinearities in output : some international evidence

Peel, David - In: Applied economics 30 (1998) 3, pp. 323-333

Persistent link: https://www.econbiz.de/10001243873

Is the US business cycle asymmetric? : Some further evidence

Peel, David - In: Applied economics 28 (1996) 4, pp. 405-415

Persistent link: https://www.econbiz.de/10001197854

Threshold nonlinearities in unemployment rates : further evidence for the UK and G3 economies

Peel, David; Speight, Alan E. H. - In: Applied economics 32 (2000) 6, pp. 705-715

Persistent link: https://www.econbiz.de/10001521059

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

The confusing time-series behaviour of real exchange rates : are asymmetries important?

McMillan, David G. - In: Journal of international financial markets, … 19 (2009) 4, pp. 692-711

Persistent link: https://www.econbiz.de/10003879522

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Persistent link: https://www.econbiz.de/10012813273